Downside Risk and the Momentum Effect Andrew Ang Columbia University and NBER Joseph Chen University of Southern California Yuhang Xing Columbia University First Version:…

MOMENTUM AND MEAN REVERSION ACROSS NATIONAL EQUITY MARKETS * RONALD J. BALVERS Division of Economics and Finance College of Business West Virginia University Morgantown,…

1. IFTA Journal Editor Larry V. Lovrencic, ASIA First Pacific Securities P.O. Box 731 Rozelle NSW 2039 Australia Tel: + 61 2 95555287 Email: [email protected] IFTA Chairperson…

Fact, Fiction and Momentum Investing Clifford S. Asness, Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz 1 This draft: May 9, 2014 Abstract It‘s been over 20 years…

Slide 1 Price and Earnings Momentum: An Explanation Using Return Decomposition Qinghao Mao K.C. John Wei Hong Kong University of Science and Technology NTUICF Dec 2010 Slide…

IFTA Journal Editor Larry V. Lovrencic, ASIA First Pacific Securities P.O. Box 731 Rozelle NSW 2039 Australia Tel: + 61 2 95555287 Email: [email protected] IFTA Chairperson…

1 Momentum Success Factors Gary Antonacci Portfolio Management Associates 1 February 29, 2012 Abstract Momentum is the premier market anomaly. It is nearly universal in its…

Chapter 13 Alternative Models of Systematic Risk 13-* Chapter Outline 13.1 The Efficiency of the Market Portfolio 13.2 Implication of Positive Alphas 13.3 Multifactor Models…

Lecture 4: Section 1 Generic Currency Signals Momentum or Trend: bet on continuation of directional moves Many ways to calculate the autoregressive nature of currency returns…

Quantitative Analysis Finding Alpha Fundamental Analysis Forecast Dividends and find PV Look for stocks for which price ¹ PV Ratio Analysis Compare accounting ratios Buy…